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- Title
ANÁLISE DE COINTEGRAÇÃO E GERAÇÃO DE CENÁRIOS NA ALOCAÇÃO DE INVESTIMENTOS EM PREVIDÊNCIA COMPLEMENTAR.
- Authors
Adão, Wevergton Junior; Silva, Wesley Vieira; Cruz, June Allison W.; Del Corso, Jansen Maia
- Abstract
The objective of this work is to present for an investment portfolio allocation taking into consideration long-term relations between financial assets and economy indexes. The observed data are from a time series of economic indicators, as well the financial market, encompassing the period of the Real Plan establishment. The gathered results assist in the understanding of decision structures from a Closed Pension Fund, generating information on the relations of long-term period from variables which can be used as parameters for probabilistic scenarios. All things considered, several tactics of investments are evaluated in terms of their performance throughout a 40- year projection. The validation of results is carried through by means of a statistical package S-Plus, allowing a deeper analysis over the strategy adopted, regarding the need of risks management, specifically those associated with the maintenance of the pension fund solvency.
- Subjects
PORTFOLIO management (Investments); INVESTMENTS; FINANCIAL markets; ECONOMIC indicators; INVESTMENT of pension funds; PENSION trust management
- Publication
Revista Eletrônica de Ciência Administrativa, 2013, Vol 12, Issue 3, p287
- ISSN
1677-7387
- Publication type
Article
- DOI
10.5329/RECADM.2013023